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feat(stats): add Savitzky-Golay smoothing filter - #1986

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Shizoqua:feat/1424-savitzky-golay
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feat(stats): add Savitzky-Golay smoothing filter#1986
Shizoqua wants to merge 3 commits into
online-ml:mainfrom
Shizoqua:feat/1424-savitzky-golay

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Adds stats.SavitzkyGolay, a rolling Savitzky-Golay smoothing filter as requested in #1424.

Savitzky-Golay fits a polynomial of a given degree to a sliding window of observations by least squares and returns the smoothed value of the most recent point via the precomputed scipy.signal.savgol_coeffs dot product. Because the polynomial is evaluated at the last point of the window, the filter is causal and compatible with online learning.

>>> from river import stats
>>> stat = stats.SavitzkyGolay(window_size=5, polyorder=2)
  • Coefficients computed once in __init__, applied over a fixed-size deque
  • get() returns None until the window has enough observations
  • window_size/polyorder follow scipy's constraint (polyorder < window_size, enforced by scipy)
  • Registered in stats/__init__.py and the docs nav
  • Release-note entry and CodSpeed benchmark included

Verification:

  • pytest tests/stats — 175 passed (incl. doctests)
  • Matches a manual least-squares polynomial fit to the same window; reproduces a degree-≤2 polynomial exactly
  • ruff check / ruff format --check clean

DCO sign-off included.

@codspeed-hq

codspeed-hq Bot commented Aug 12, 2026

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Merging this PR will not alter performance

✅ 98 untouched benchmarks
🆕 1 new benchmark
⏩ 16 skipped benchmarks1

Performance Changes

Mode Benchmark BASE HEAD Efficiency
🆕 Simulation test_savitzky_golay_update N/A 5.1 ms N/A

Comparing Shizoqua:feat/1424-savitzky-golay (23f2f93) with main (fe248b4)

Open in CodSpeed

Footnotes

  1. 16 benchmarks were skipped, so the baseline results were used instead. If they were deleted from the codebase, click here and archive them to remove them from the performance reports.

@Shizoqua
Shizoqua force-pushed the feat/1424-savitzky-golay branch from 60dbb8a to b646dd1 Compare August 18, 2026 13:12

@MaxHalford MaxHalford left a comment

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Overall looks good, but I would like to see a use case so users can understand when to use this

Comment on lines +71 to +76
self._coeffs = savgol_coeffs(
window_length=window_size,
polyorder=polyorder,
pos=window_size - 1,
use="dot",
)

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Is this a list or a numpy array? I think it should be the former

@Shizoqua

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Thanks @MaxHalford! I added a use case to the docstring: a noisy temperature probe drifting upward, where smoothing reveals the underlying trend so it can be fed to a model or a threshold. New commit 7121884 includes the example and the doctest output.

Adds stats.SavitzkyGolay, a rolling Savitzky-Golay filter that fits a
polynomial of a given degree to a sliding window of observations by
least squares and returns the smoothed value of the most recent point.

Because the fit is evaluated at the last point of the window, the filter
is causal and can be used online, e.g. to smooth sensor or market
signals before feature extraction. The coefficients are computed once
via scipy.signal.savgol_coeffs and applied with a fixed-size deque;
get() returns None until the window is full.

Signed-off-by: Lanre Shittu <136805224+Shizoqua@users.noreply.github.com>
Signed-off-by: Shizoqua <136805224+Shizoqua@users.noreply.github.com>
Signed-off-by: Shizoqua <136805224+Shizoqua@users.noreply.github.com>
@Shizoqua
Shizoqua force-pushed the feat/1424-savitzky-golay branch from 7121884 to 23f2f93 Compare September 1, 2026 15:03
@e10e3

e10e3 commented Sep 1, 2026

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A commenter in the issue you reference mentioned the article Why and how Savitzky–Golay filters should be replaced, which argues that one should replace the SG filter with other, more stable and less noisy, filters like sinc or Whittaker–Henderson. Is it not better to implement these alternative filters rather than Savitzky–Golay?

Also, did you read the Contributing guide? Your PR cover letter makes me think you did not, but I could be wrong.

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3 participants